/
expanding.py
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/
expanding.py
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from textwrap import dedent
from pandas.compat.numpy import function as nv
from pandas.util._decorators import Appender, Substitution
from pandas.core.window.common import WindowGroupByMixin, _doc_template, _shared_docs
from pandas.core.window.rolling import _Rolling_and_Expanding
class Expanding(_Rolling_and_Expanding):
"""
Provide expanding transformations.
Parameters
----------
min_periods : int, default 1
Minimum number of observations in window required to have a value
(otherwise result is NA).
center : bool, default False
Set the labels at the center of the window.
axis : int or str, default 0
Returns
-------
a Window sub-classed for the particular operation
See Also
--------
rolling : Provides rolling window calculations.
ewm : Provides exponential weighted functions.
Notes
-----
By default, the result is set to the right edge of the window. This can be
changed to the center of the window by setting ``center=True``.
Examples
--------
>>> df = pd.DataFrame({'B': [0, 1, 2, np.nan, 4]})
B
0 0.0
1 1.0
2 2.0
3 NaN
4 4.0
>>> df.expanding(2).sum()
B
0 NaN
1 1.0
2 3.0
3 3.0
4 7.0
"""
_attributes = ["min_periods", "center", "axis"]
def __init__(self, obj, min_periods=1, center=False, axis=0, **kwargs):
super().__init__(obj=obj, min_periods=min_periods, center=center, axis=axis)
@property
def _constructor(self):
return Expanding
def _get_window(self, other=None, **kwargs):
"""
Get the window length over which to perform some operation.
Parameters
----------
other : object, default None
The other object that is involved in the operation.
Such an object is involved for operations like covariance.
Returns
-------
window : int
The window length.
"""
axis = self.obj._get_axis(self.axis)
length = len(axis) + (other is not None) * len(axis)
other = self.min_periods or -1
return max(length, other)
_agg_see_also_doc = dedent(
"""
See Also
--------
DataFrame.expanding.aggregate
DataFrame.rolling.aggregate
DataFrame.aggregate
"""
)
_agg_examples_doc = dedent(
"""
Examples
--------
>>> df = pd.DataFrame(np.random.randn(10, 3), columns=['A', 'B', 'C'])
>>> df
A B C
0 -2.385977 -0.102758 0.438822
1 -1.004295 0.905829 -0.954544
2 0.735167 -0.165272 -1.619346
3 -0.702657 -1.340923 -0.706334
4 -0.246845 0.211596 -0.901819
5 2.463718 3.157577 -1.380906
6 -1.142255 2.340594 -0.039875
7 1.396598 -1.647453 1.677227
8 -0.543425 1.761277 -0.220481
9 -0.640505 0.289374 -1.550670
>>> df.ewm(alpha=0.5).mean()
A B C
0 -2.385977 -0.102758 0.438822
1 -1.464856 0.569633 -0.490089
2 -0.207700 0.149687 -1.135379
3 -0.471677 -0.645305 -0.906555
4 -0.355635 -0.203033 -0.904111
5 1.076417 1.503943 -1.146293
6 -0.041654 1.925562 -0.588728
7 0.680292 0.132049 0.548693
8 0.067236 0.948257 0.163353
9 -0.286980 0.618493 -0.694496
"""
)
@Substitution(
see_also=_agg_see_also_doc,
examples=_agg_examples_doc,
versionadded="",
klass="Series/Dataframe",
axis="",
)
@Appender(_shared_docs["aggregate"])
def aggregate(self, func, *args, **kwargs):
return super().aggregate(func, *args, **kwargs)
agg = aggregate
@Substitution(name="expanding")
@Appender(_shared_docs["count"])
def count(self, **kwargs):
return super().count(**kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["apply"])
def apply(self, func, raw=False, args=(), kwargs={}):
return super().apply(func, raw=raw, args=args, kwargs=kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["sum"])
def sum(self, *args, **kwargs):
nv.validate_expanding_func("sum", args, kwargs)
return super().sum(*args, **kwargs)
@Substitution(name="expanding")
@Appender(_doc_template)
@Appender(_shared_docs["max"])
def max(self, *args, **kwargs):
nv.validate_expanding_func("max", args, kwargs)
return super().max(*args, **kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["min"])
def min(self, *args, **kwargs):
nv.validate_expanding_func("min", args, kwargs)
return super().min(*args, **kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["mean"])
def mean(self, *args, **kwargs):
nv.validate_expanding_func("mean", args, kwargs)
return super().mean(*args, **kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["median"])
def median(self, **kwargs):
return super().median(**kwargs)
@Substitution(name="expanding", versionadded="")
@Appender(_shared_docs["std"])
def std(self, ddof=1, *args, **kwargs):
nv.validate_expanding_func("std", args, kwargs)
return super().std(ddof=ddof, **kwargs)
@Substitution(name="expanding", versionadded="")
@Appender(_shared_docs["var"])
def var(self, ddof=1, *args, **kwargs):
nv.validate_expanding_func("var", args, kwargs)
return super().var(ddof=ddof, **kwargs)
@Substitution(name="expanding")
@Appender(_doc_template)
@Appender(_shared_docs["skew"])
def skew(self, **kwargs):
return super().skew(**kwargs)
_agg_doc = dedent(
"""
Examples
--------
The example below will show an expanding calculation with a window size of
four matching the equivalent function call using `scipy.stats`.
>>> arr = [1, 2, 3, 4, 999]
>>> import scipy.stats
>>> print(f"{scipy.stats.kurtosis(arr[:-1], bias=False):.6f}")
-1.200000
>>> print(f"{scipy.stats.kurtosis(arr, bias=False):.6f}")
4.999874
>>> s = pd.Series(arr)
>>> s.expanding(4).kurt()
0 NaN
1 NaN
2 NaN
3 -1.200000
4 4.999874
dtype: float64
"""
)
@Appender(_agg_doc)
@Substitution(name="expanding")
@Appender(_shared_docs["kurt"])
def kurt(self, **kwargs):
return super().kurt(**kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["quantile"])
def quantile(self, quantile, interpolation="linear", **kwargs):
return super().quantile(
quantile=quantile, interpolation=interpolation, **kwargs
)
@Substitution(name="expanding")
@Appender(_doc_template)
@Appender(_shared_docs["cov"])
def cov(self, other=None, pairwise=None, ddof=1, **kwargs):
return super().cov(other=other, pairwise=pairwise, ddof=ddof, **kwargs)
@Substitution(name="expanding")
@Appender(_shared_docs["corr"])
def corr(self, other=None, pairwise=None, **kwargs):
return super().corr(other=other, pairwise=pairwise, **kwargs)
class ExpandingGroupby(WindowGroupByMixin, Expanding):
"""
Provide a expanding groupby implementation.
"""
@property
def _constructor(self):
return Expanding